EAKO - User Guide
  • Guides
  • EAKO User Guide
  • Glossary
  • Strategies
  • Call Option
  • Put Option
  • Synthetic Forward
  • Extendible Forward
  • Risk Reversal / FX Collar
  • Participating Forward
  • Cap Loss Forward
  • Knock-In Forward
  • KIKO
  • Fade Forward
  • Ratio Knock-Out Forward
  • TARF
  • Liability Knock-Out TARF
  • EKI TARF
  • Pivot TARF
  • EKI Pivot TARF
  • Barrier Options
    • Introduction
    • Types of Barriers
    • Time Aspect
    • Knock-In
    • Knock-Out
    • Knock In Knock-Out
  • Variations on Barrier Options
    • Double Knock-In
    • Double Knock-Out
    • European Knock-Out
    • Knock-In European Knock-Out
    • Knock-Out European Knock-Out
    • Performance Knock-In
    • Performance Knock-Out
    • Partial Knock-In
    • Partial Knock-Out
    • Partial Double Knock-Out
    • Forward Knock-In
    • Forward Knock-Out
    • Forward Double Knock-Out
    • Forward Knock-In Knock-Out
    • Knock-Out with Rebate
    • Discrete Knock-Out
Powered by GitBook
On this page
  • Payoff Diagram:
  • Payoff at Expiry:

Fade Forward

PreviousKIKONextRatio Knock-Out Forward

Last updated 2 years ago

A Fade Forward is an accrual-based forward, whereby an amount of the notional (a unit) is accrued on each day that the fixing is above / below a pre-specified Fade Rate. There is an additional boost factor on this product whereby two units are accrued on an OTM fixing so as to further improve the strike rate.

Payoff Diagram:

Payoff at Expiry:

Every day EURUSD fixes:

  • Between the Fade Rate and the Strike Rate, a unit is accrued at the Strike Rate.

  • Below the Strike Rate, 2 units are accrued at the Strike Rate.

  • Above the Fade Rate, an amount is accrued.

Fade Forward Payoff Profile